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Where a Dealer Member or a client has the following pairing:
Long (short) position
Short (long) position
(i)
highly rated non‑convertible commercial
and corporate debt securitiesand
highly rated non‑convertible commercial and corporate debt securities of the same issuer
and the positions have the same currency denomination and market value and are within the same maturity band, the two positions may be offset and the minimum margin required for both positions may be computed as the greater of the margins normally required on the long (or short) and the short (or long) positions.
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In subsection 5621(1) “highly rated non-convertible commercial and corporate debt securities” are non‑convertible commercial and corporate debt securities currently rated “A” or higher by DBRS, Moody’s or S&P Corporation.
As described in IIROC Notice 21-0028, effective September 1, 2022, subsection 5621(2) will be repealed and replaced with the following:
In subsection 5621(1) “highly rated non‑convertible commercial and corporate debt securities” are non‑convertible commercial and corporate debt securities currently rated “A” or higher by a designated rating organization.
There is no history log for this rule.